Scientific Program

Semi-plenary Lecture

Program -> Plenary and Semi-Plenary -> Tue.17:00.H 0104 title only | abstract | bio sketch

Tuesday, 17:00 - 17:50 h, H 0104


Teemu Pennanen
Introduction to convex optimization in financial markets


Chair: John Birge


Abstract:
Convexity arises quite naturally in financial risk management. In risk preferences concerning random cash-flows, convexity corresponds to the fundamental diversification principle. Convexity is a basic property also of budget constraints both in classical linear models as well as in more realistic models with transaction costs and constraints. Moreover, modern securities markets are based on trading protocols that result in convex trading costs. This talk gives an introduction to certain basic concepts and principles of financial risk management in simple optimization terms. We then review some convex optimization techniques used in mathematical and numerical analysis of financial optimization problems.

 

 

Program -> Plenary and Semi-Plenary -> Tue.17:00.H 0104 title only | abstract | bio sketch

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